A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion

DOI10.1214/EJP.v14-674zbMath1201.60033MaRDI QIDQ1039155

J. Blot

Publication date: 20 November 2009

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/229218

zbMATH Keywords

Brownian sheet; convex order; asian option; running average

Mathematics Subject Classification ID

60G60: Random fields

60J65: Brownian motion

60G44: Martingales with continuous parameter

60G07: General theory of stochastic processes